• DOI:10.1007/S40505-018-0156-5
Corpus ID: 126375940

Game-theoretic optimal portfolios in continuous time

@article{Garivaltis2018GametheoreticOP,
  title={Game-theoretic optimal portfolios in continuous time},
  author={Alex Garivaltis},
  journal={Economic Theory Bulletin},
  year={2018},
  pages={1-9}
}

Alex Garivaltis

Published 2018

Mathematics, Economics

Economic Theory Bulletin

We consider a two-person trading game in continuous time where each player chooses a constant rebalancing rule b that he must adhere to over [0, t]. If $$V_t(b)$$Vt(b) denotes the final wealth of the rebalancing rule b, then Player 1 (the “numerator player”) picks b so as to maximize $$E[V_t(b)/V_t(c)]$$E[Vt(b)/Vt(c)], while Player 2 (the “denominator player”) picks c so as to minimize it. In the unique Nash equilibrium, both players use the continuous-time Kelly rule $$b^*=c^*=\varSigma ^{-1… CONTINUE READING

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